Bloomberg News

U.S. Stock Options With Biggest Changes in Implied Volatility

April 03, 2013

The following are the U.S. stock options that had the biggest percentage changes in implied volatility from the previous trading day as of 3:00 p.m. in New York. This {OSCH <GO>} search was limited to options that are more than 10 days from expiration, have trading volume of at least 500 contracts and have strike prices within 5 percent of the underlying security's price.


Top Volatility Increases

                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
IWM    ISHARES-RUS  IWM US 04/20/13 P95       71.1  13.9   3.79   46.9   2357
TZA    DIR SMCAP B  TZA1 US 04/20/13 C9       45.2  43.6   1.08   38.5   1747
AMLP   ALERIAN MLP  AMLP US 05/18/13 P17      45.0  18.2   0.40  100.0  25129
DNN    DENISON MIN  DNN US 07/20/13 P1        34.4  82.6   0.05    0.0    500
LINE   LINN ENERGY  LINE US 05/18/13 C36      31.5  20.6   2.40  -15.2   2048
ARIA   ARIAD PHARM  ARIA US 04/20/13 C17      30.9  60.8   0.65  -60.6    694
OPK    OPKO HEALTH  OPK US 04/20/13 C7        28.3  63.2   0.30  -46.4    681
HYG    ISH-IBOXX H  HYG US 09/21/13 P91       27.3   9.4   1.98   -3.4   1001
AUXL   AUXILIUM PH  AUXL US 04/20/13 P17.5    27.3  45.0   0.85   41.7    961
NUVA   NUVASIVE IN  NUVA US 04/20/13 P20      26.3  40.4   0.40    0.0   1012
ZNGA   ZYNGA INC-   ZNGA US 04/20/13 P3       26.0  73.8   0.03  -75.0   1113
IWM    ISHARES-RUS  IWM US 04/20/13 P94       23.8  13.8   2.94   59.8   8879
OPK    OPKO HEALTH  OPK US 05/18/13 P6        23.5  65.5   0.20  100.0    725
ARIA   ARIAD PHARM  ARIA US 04/20/13 P16      23.2  60.5   0.64  220.0   1707
CSCO   CISCO SYSTE  CSCO US 01/17/15 C10      21.3  60.1  11.20    3.7   6600
NUGT   DIR GLD BUL  NUGT1 US 05/18/13 C7      20.8 111.0   0.05  -50.0    523
GLD    SPDR GOLD T  GLD US 04/20/13 C156      20.6  13.8   0.20  -46.0   1368
MPEL   MELCO CROWN  MPEL US 04/20/13 C20      20.3  51.2   2.50  -19.4    822
GLD    SPDR GOLD T  GLD US 04/20/13 C157      18.8  13.8   0.14  -41.7   1813
OPK    OPKO HEALTH  OPK US 04/20/13 P7        18.7  60.9   0.40  166.7   1608
CBI    CHICAGO BRI  CBI US 04/20/13 P55       18.2  33.4   0.80  166.7   1877
BK     BANK NY MEL  BK US 06/22/13 C25        18.1  24.5   2.85  -18.8    501
SPY    SPDR S&P 50  SPY US 04/20/13 P161      17.7   9.4   5.51   23.8   3130
ASTX   ASTEX PHARM  ASTX US 07/20/13 P3       17.0 113.7   0.15  -40.0   8001
HCA    HCA HOLDING  HCA US 04/20/13 C39       16.9  27.5   0.45  -60.9    547
GLD    SPDR GOLD T  GLD7 US 04/20/13 C155     16.8  13.5   0.32  -48.4   1344
TWX    TIME WARNER  TWX US 04/20/13 C60       16.7  19.8   0.31  121.4   4280
MPC    MARATHON PE  MPC US 04/20/13 C85       16.0  35.1   1.10  -51.1    625
PSX    PHILLIPS 66  PSX US 05/18/13 C62.5     16.0  37.2   3.50  -38.0    923
CBI    CHICAGO BRI  CBI US 05/18/13 P55       15.9  37.3   2.05   86.4   4695
S      SPRINT NEXT  S US 08/17/13 P4          15.8  44.3   0.10   42.9   1978
PSX    PHILLIPS 66  PSX US 04/20/13 P65       15.7  36.5   3.10  226.3   1035
PSX    PHILLIPS 66  PSX US 04/20/13 C65       15.7  37.1   1.20  -57.1   1421
BWLD   BUFFALO WIL  BWLD US 04/20/13 C90      15.4  23.9   0.70    0.0    665
KKR    KKR & CO LP  KKR US 04/20/13 P19       15.3  29.7   0.65  160.0    609
HTZ    HERTZ GLOBA  HTZ US 04/20/13 P20       15.0  51.8   0.15  200.0   2011
BAC    BANK OF AME  BAC US 04/26/13 C11       15.0  33.9   0.87  -30.4    631
SPY    SPDR S&P 50  SPY US 04/20/13 C161      14.7  10.0   0.05  -50.0   9029
IWM    ISHARES-RUS  IWM US 04/20/13 P93       14.7  14.8   2.03   56.1  30856
NIHD   NII HOLDING  NIHD US 04/20/13 P5       14.3  81.5   0.35  -56.2   1329
FTNT   FORTINET IN  FTNT US 04/20/13 C22      14.2  36.2   0.90  -25.0    500
ZNGA   ZYNGA INC-   ZNGA US 04/20/13 C2.5     14.1 100.6   1.07   78.3   1445
HTZ    HERTZ GLOBA  HTZ US 04/20/13 C22       14.0  40.1   1.00  -41.2   3044
AMJ    JPM-ALERIAN  AMJ US 06/22/13 P43       13.8  19.6   1.05   31.2   2000
NIHD   NII HOLDING  NIHD US 06/22/13 P4       13.8  81.5   0.32  -20.0   1513
GLD    SPDR GOLD T  GLD US 04/20/13 C154      13.8  13.4   0.48  -46.7   3750
TSO    TESORO CORP  TSO US 04/20/13 C55       13.6  42.8   0.95  -40.6   1487
VHC    VIRNETX HOL  VHC US 04/20/13 C18       13.6 110.6   1.30   44.4    710
CREE   CREE INC     CREE US 04/20/13 C49      13.4  40.0   1.60  -64.4    514
PSX    PHILLIPS 66  PSX US 04/20/13 P60       13.4  38.7   0.95  850.0   1821
TSO    TESORO CORP  TSO US 04/20/13 P55       13.4  42.9   4.00  113.9    533
CREE   CREE INC     CREE US 04/20/13 C50      13.3  39.9   1.22  -60.0   1420
TMO    THERMO FISH  TMO US 04/20/13 C70       13.3  42.6   8.80    2.3   1600
UHS    UNIVERSAL H  UHS US 05/18/13 P60       13.3  28.7   1.40    0.0    704
LNG    CHENIERE EN  LNG US 04/20/13 C27       13.2  42.7   0.45  -50.0    672
FTR    FRONTIER CO  FTR US 11/16/13 P4        13.1  35.4   0.55   -8.3   7205
ABX    BARRICK GOL  ABX US 04/20/13 P28       13.0  30.6   1.41  171.2    893
PSX    PHILLIPS 66  PSX US 05/18/13 C60       12.9  37.4   4.55  -40.6    585
CALL   MAGICJACK V  CALL US 06/22/13 C10      12.9 101.1   6.10   24.5    710
GLD    SPDR GOLD T  GLD US 04/26/13 C154      12.9  13.4   0.73  -40.2    514
AWAY   HOMEAWAY IN  AWAY US 05/18/13 P25      12.6  51.5   0.35  105.9   1013
USO    UNITED STAT  USO US 04/20/13 P35       12.6  19.1   1.35  125.0   1634
BAC    BANK OF AME  BAC US 04/26/13 C12       12.5  31.9   0.27  -37.2   1913
GLD    SPDR GOLD T  GLD US 04/20/13 P155      12.5  13.2   5.00   59.7    643
GLD    SPDR GOLD T  GLD US 04/20/13 C153      12.5  13.5   0.71  -46.2   7514
HTZ    HERTZ GLOBA  HTZ US 04/20/13 P23       12.5  38.1   0.90   69.8   2972
PSX    PHILLIPS 66  PSX US 05/18/13 C65       12.3  36.5   2.30  -43.9   1319
GLD    SPDR GOLD T  GLD US 04/20/13 P154      12.1  13.0   4.09   69.0   1930
EWJ    ISHARES-JAP  EWJ US 04/20/13 C11       12.1  19.2   0.03   50.0   1881
SPY    SPDR S&P 50  SPY US 04/20/13 C160      12.1   9.8   0.13  -40.9  29129
BGCP   BGC PARTNER  BGCP US 04/20/13 C5       11.8  64.7   0.60  -20.0    677
MCHP   MICROCHIP T  MCHP US 04/20/13 C37      11.8  20.6   0.10  -60.0   1151
MRK    MERCK & CO   MRK US 04/20/13 C45       11.7  15.8   1.05  105.9    868
GLD    SPDR GOLD T  GLD US 05/03/13 C153.5    11.6  13.6   1.18  -55.8    535
NRG    NRG ENERGY   NRG US 04/20/13 C27       11.6  22.5   0.20  -41.2   3038
OPK    OPKO HEALTH  OPK US 04/20/13 P6        11.6  81.8   0.10  100.0   1729
RPTP   RAPTOR PHAR  RPTP US 05/18/13 C5       11.5 136.9   1.65   10.0    516
SPY    SPDR S&P 50  SPY US 04/20/13 P158      11.4  10.6   2.97   54.7   6869
GLD    SPDR GOLD T  GLD US 04/20/13 C152      11.4  13.7   1.04  -44.1   4262
KMP    KINDER MORG  KMP US 04/20/13 P85       11.4  19.8   0.25  150.0   1341
SPY    SPDR S&P 50  SPY US 04/20/13 P160      11.4   9.2   4.70   33.1   1654
ZNGA   ZYNGA INC-   ZNGA US 04/20/13 C3       11.3  67.7   0.60  233.3   6129
DIA    SPDR DJIA T  DIA US 04/20/13 C149      11.3   8.5   0.10  -37.5    589
GE     GENERAL ELE  GE US 04/20/13 C24        11.3  20.0   0.10  -16.7   2121
MSFT   MICROSOFT C  MSFT US 04/20/13 C27      11.3  23.8   1.80   -1.1    560
GLD    SPDR GOLD T  GLD US 04/20/13 P152      11.2  13.6   2.62   89.9   3219
MSFT   MICROSOFT C  MSFT US 04/20/13 C29      11.1  20.8   0.33   -8.3   3541
NFLX   NETFLIX INC  NFLX US 04/20/13 C170     11.1  51.2   6.95  -34.4   2076
BSX    BOSTON SCIE  BSX US 04/20/13 C8        11.1  34.6   0.12  -29.4    723
RKT    ROCK TENN C  RKT US 04/20/13 C90       11.1  26.1   0.95  -67.5    600
ENDP   ENDO HEALTH  ENDP US 05/18/13 C35      11.0  45.0   1.33  104.6   9138
AA     ALCOA INC    AA US 05/18/13 P7         11.0  33.6   0.02  100.0   1225
MPC    MARATHON PE  MPC US 04/20/13 C82.5     11.0  35.7   2.05  -53.4   1816
SDS    PRO ULTSHRT  SDS US 04/20/13 C43       10.9  21.4   1.80   34.3    813
DEO    DIAGEO PLC-  DEO US 05/18/13 P125      10.8  16.5   2.00  -10.7    596
GLD    SPDR GOLD T  GLD US 04/20/13 P153      10.8  13.2   3.30   78.4   3118
NFLX   NETFLIX INC  NFLX US 04/20/13 C175     10.7  50.1   4.90  -36.0   2709
USO    UNITED STAT  USO US 04/20/13 C35       10.7  19.0   0.13  -64.9   1845
CLMT   CALUMET SPE  CLMT US 05/18/13 C35      10.7  32.7   1.28  -27.3    925
USO    UNITED STAT  USO US 04/20/13 P34.5     10.6  19.3   0.99  167.6    526
AFL    AFLAC INC    AFL US 04/20/13 P52.5     10.6  18.7   0.63    6.8    657
VLO    VALERO ENER  VLO US 04/20/13 P43       10.6  39.0   2.53   48.8   2596
STZ    CONSTELLATI  STZ US 04/20/13 P30       10.5 123.5   0.10    0.0    937
GLD    SPDR GOLD T  GLD US 05/18/13 C157      10.5  13.6   0.71  -28.3   1424
ABX    BARRICK GOL  ABX US 04/20/13 C28       10.5  30.2   0.32  -61.9    983
GLD    SPDR GOLD T  GLD US 04/20/13 C151      10.5  14.1   1.47  -40.2   2475
HYG    ISH-IBOXX H  HYG US 05/18/13 P90       10.4   8.6   0.15    0.0   2500
GDXJ   MARKET VECT  GDXJ US 04/20/13 C15      10.4  37.3   0.30  -63.4    659
SPY    SPDR S&P 50  SPY US 04/20/13 P159      10.4  10.0   3.90   52.3   1749
FCX    FREEPORT-MC  FCX US 04/20/13 P32       10.3  29.8   1.23   20.6   1023
VLO    VALERO ENER  VLO US 04/20/13 C43       10.3  38.8   0.63  -34.4   1022
GDX    MKT VECT-GO  GDX US 04/20/13 P35.5     10.3  31.2   1.69  141.4   1057
GLD    SPDR GOLD T  GLD US 05/18/13 C153      10.3  13.6   1.74  -28.1   2121
NFLX   NETFLIX INC  NFLX US 04/20/13 P170     10.3  50.6   7.50   80.7   3507
MPC    MARATHON PE  MPC US 04/20/13 P82.5     10.1  35.1   2.90  152.2    752
FCX    FREEPORT-MC  FCX US 04/20/13 P31       10.1  30.4   0.74   45.1   1686
GLD    SPDR GOLD T  GLD7 US 04/20/13 P151     10.1  13.9   2.16  118.2    579
NFLX   NETFLIX INC  NFLX US 04/20/13 P165     10.1  51.4   5.72  127.9   2948
AFL    AFLAC INC    AFL US 04/20/13 C52.5     10.1  18.6   0.94   -1.1    656
BAC    BANK OF AME  BAC US 05/03/13 P11.5     10.0  31.2   0.29  107.1    574
SPY    SPDR S&P 50  SPY7 US 04/20/13 C158     10.0  10.7   0.45  -51.6   2000

Top Volatility Decreases



                         Contract            %Chg  Impl.
Ticker    Name           Description          Vol.  Vol.   Price  %Chg  Volume
=============================================================================
JOSB   JOS A BANK   JOSB US 04/20/13 P40     -41.2  36.4   1.25  -51.9   1806
JOSB   JOS A BANK   JOSB US 04/20/13 P35     -33.4  46.0   0.15  -80.0    543
FMCN   FOCUS MEDIA  FMCN US 04/20/13 C24     -32.9  29.9   2.65   -7.0   1501
PII    POLARIS IND  PII US 04/20/13 C92.5    -31.9  21.8   0.79  -45.5    924
BMY    BRISTOL-MYE  BMY US 04/20/13 C40      -31.9  16.8   1.21  -25.8    905
MON    MONSANTO CO  MON US 04/20/13 P105     -30.7  21.3   2.43  -26.4   1728
CALL   MAGICJACK V  CALL US 04/20/13 C15     -30.5  71.1   1.25    8.7   3048
PII    POLARIS IND  PII US 04/20/13 C90      -30.3  23.4   1.75  -30.0    590
PII    POLARIS IND  PII US 04/20/13 P87.5    -29.0  25.2   0.75  -57.1    626
NG     NOVAGOLD RE  NG US 04/20/13 P3        -28.6  54.7   0.05    0.0   1000
CALL   MAGICJACK V  CALL US 04/20/13 P15     -27.3  74.7   0.80  -50.0   1001
MON    MONSANTO CO  MON US 04/20/13 P100     -26.5  23.4   0.63  -51.2   1183
CSCO   CISCO SYSTE  CSCO US 01/17/15 C13     -26.1  37.8   8.20    5.1   6200
TSLA   TESLA MOTOR  TSLA US 04/20/13 P36     -26.0  50.4   0.41   46.4    770
VMED   VIRGIN MEDI  VMED US 04/20/13 P49     -25.9  10.8   0.25  -50.0   2000
TSLA   TESLA MOTOR  TSLA US 04/20/13 P39     -25.4  47.5   1.20   53.9    874
TSLA   TESLA MOTOR  TSLA US 04/20/13 C41     -24.8  46.6   1.10  -71.4   1723
TSLA   TESLA MOTOR  TSLA US 04/20/13 P38     -24.4  47.9   0.75   29.3   1300
TSLA   TESLA MOTOR  TSLA US 04/20/13 P40     -24.1  47.1   1.60   60.0   3122
MON    MONSANTO CO  MON US 04/20/13 C105     -23.9  21.5   1.32  -30.9   1714
BMY    BRISTOL-MYE  BMY US 06/22/13 C35      -22.9  24.1   6.20   -6.8    514
TSLA   TESLA MOTOR  TSLA US 04/20/13 P41     -22.6  46.6   2.50  100.0    740
XLI    SPDR-INDU S  XLI US 04/20/13 C43      -22.6  12.5   0.01  -66.7   1581
APO    APOLLO GLOB  APO US 04/20/13 C22.5    -22.2  28.9   1.45  222.2   1168
TSLA   TESLA MOTOR  TSLA US 04/20/13 C40     -21.9  46.4   1.69  -63.5   6276
T      AT&T INC     T US 04/20/13 C36        -21.2  16.1   1.35  -12.9    871
TSLA   TESLA MOTOR  TSLA US 04/20/13 P42     -21.2  47.5   2.85   74.8    926
IWM    ISHARES-RUS  IWM US 04/20/13 C87      -20.8  21.5   4.62  -20.1    913
IWM    ISHARES-RUS  IWM US 04/20/13 C88      -20.7  19.6   3.51  -28.2    540
MON    MONSANTO CO  MON US 04/20/13 P95      -20.3  27.7   0.14  -65.0    741
TSLA   TESLA MOTOR  TSLA US 06/22/13 C33     -20.2  52.7   7.30  -33.0   1401
TSLA   TESLA MOTOR  TSLA US 04/20/13 C42     -19.6  46.2   0.85  -74.2   1782
BMY    BRISTOL-MYE  BMY US 04/20/13 P41      -19.6  15.6   0.54   31.7    682
CALL   MAGICJACK V  CALL US 04/20/13 P12.5   -19.4  91.0   0.20  -60.0    835
TSLA   TESLA MOTOR  TSLA US 06/22/13 C32     -18.4  57.6   8.80  -33.3   1401
CCJ    CAMECO CORP  CCJ US 06/22/13 P16      -18.4  29.4   0.14  180.0    500
GPN    GLOBAL PAYM  GPN US 05/18/13 P45      -18.2  24.3   1.50  150.0   1310
VZ     VERIZON COM  VZ US 04/20/13 C45       -18.0  23.5   3.95  -11.2    693
IWM    ISHARES-RUS  IWM US 04/20/13 C89      -18.0  18.6   2.88  -29.2   1640
AMJ    JPM-ALERIAN  AMJ US 04/20/13 P44      -17.2  22.9   0.65  -49.2  10111
WMC    WESTERN ASS  WMC US 04/20/13 C22.28   -17.2  24.6   0.85  -22.7    553
JAKK   JAKKS PACIF  JAKK US 09/21/13 P7.5    -16.3  49.2   0.35   16.7    589
VOD    VODAFONE GR  VOD US 04/20/13 P27      -16.2  26.7   0.20  100.0    995
IWM    ISHARES-RUS  IWM US 04/20/13 C90      -15.9  17.4   2.10  -34.0   2716
SWK    STANLEY BLA  SWK US 04/20/13 C80      -15.8  18.0   0.70  -46.6    740
MON    MONSANTO CO  MON US 05/18/13 P105     -15.2  20.3   3.60  -12.2   2200
LINTA  LIBERTY INT  LINTA US 05/18/13 P21    -14.4  19.9   0.90   80.0    500
FOSL   FOSSIL INC   FOSL US 06/22/13 C90     -14.3  41.8   8.12  -46.9   1163
FCN    FTI CONSULT  FCN US 04/20/13 P34      -14.0  29.5   0.15  -57.1    750
IWM    ISHARES-RUS  IWM US 04/20/13 C91      -14.0  16.4   1.54  -35.3   8618
JPM    JPMORGAN CH  JPM US 04/20/13 P49      -14.0  22.6   2.40   54.8   4142
TZA    DIR SMCAP B  TZA1 US 07/20/13 P10     -13.1  48.4   1.15    0.0    750
BAC    BANK OF AME  BAC US 04/20/13 P10      -13.0  40.1   0.01    0.0    692
VOD    VODAFONE GR  VOD US 07/20/13 P26      -12.5  23.1   0.85   41.7   1003
VOD    VODAFONE GR  VOD US 04/20/13 P29      -12.2  23.1   1.10  120.0    621
TIVO   TIVO INC     TIVO US 04/20/13 C12     -12.1  32.6   0.16  -66.7   4793
EEM    ISHARES-EMG  EEM US 04/20/13 P38      -11.9  24.6   0.03  -25.0   6285
MU     MICRON TECH  MU US 04/20/13 C7        -11.6  58.9   2.15  -13.0   2169
IWM    ISHARES-RUS  IWM US 04/26/13 C91      -11.6  16.4   1.68  -46.8    968
ESI    ITT EDUCATI  ESI US 04/20/13 P12.5    -11.4  50.0   0.50    0.0    501
BSX    BOSTON SCIE  BSX US 04/20/13 C7       -11.2  37.1   0.75  -17.6    527
SWK    STANLEY BLA  SWK US 04/20/13 C82.5    -11.1  18.0   0.20  -50.0    741
TSLA   TESLA MOTOR  TSLA US 05/18/13 P34     -10.9  56.2   1.10   46.7   1199
IWM    ISHARES-RUS  IWM US 04/20/13 P74      -10.9  40.3   0.01    0.0   1312
VOD    VODAFONE GR  VOD US 05/18/13 C28      -10.7  24.4   1.10  -26.7   1807
IWM    ISHARES-RUS  IWM US 04/20/13 C92      -10.6  15.4   0.96  -41.1  13986
SWK    STANLEY BLA  SWK US 04/20/13 P75      -10.4  22.6   0.20  -20.0    583
MNKD   MANNKIND CO  MNKD US 05/18/13 C3      -10.4  68.1   0.84   -1.2    565
VOD    VODAFONE GR  VOD US 05/18/13 C29      -10.4  24.7   0.55  -47.6    690
XLF    SPDR-FINL S  XLF US 04/20/13 P17      -10.2  21.1   0.05   25.0   3826
F      FORD MOTOR   F US 04/20/13 C12        -10.2  25.6   0.72  -34.5    747

x - Ex-dividend. * - Ex-earnings.

-- Bloomberg News

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